Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Dec 02 (1D) Dec 03 (2D) Dec 04 (3D) Dec 05 (4D) Dec 08 (7D) Dec 09 (8D) Dec 10 (9D) Dec 11 (10D) Dec 12 (11D) Dec 15 (14D) Dec 19 (18D) Dec 26 (25D)
lower 677.542 675.119 673.26 671.693 667.916 666.848 665.845 664.896 663.993 661.507 658.577 654.148
upper 689.238 691.661 693.52 695.087 698.864 699.932 700.935 701.884 702.787 705.273 708.203 712.632
expected move 5.848 8.271 10.13 11.697 15.474 16.542 17.545 18.494 19.397 21.883 24.813 29.242
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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